Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios

Zhang，Jiandong1; Yan，Rongfang1; Zhang，Yiying2

2023-10-15

10.1016/j.cam.2023.115265

Journal of Computational and Applied Mathematics   影响因子和分区

0377-0427

1879-1778

This paper investigates the usual stochastic and hazard rate orders between the largest claim amounts from two sets of heterogeneous and dependent insurance portfolios. Sufficient conditions are established in terms of the dependence structure and the heterogeneity among claim severities when the occurrence probabilities are stochastically arrangement increasing. These newly established results generalize or complement some earlier results studied in Balakrishnan et al. (2018b) and Zhang et al. (2019). Numerical examples are provided to illustrate the theoretical findings.

Copula Largest claim amount Majorization Stochastic orders

SCI ; EI

英语

通讯

National Natural Science Foundation of China[11861058];National Natural Science Foundation of China[12101336];

Mathematics

Mathematics, Applied

WOS:000988537800001

ELSEVIER

20231714005585

Insurance

Control Systems:731.1 ; Systems Science:961

MATHEMATICS

2-s2.0-85153243613

Scopus

1.College of Mathematics and Statistics,Northwest Normal University,Lanzhou,Gansu,730070,China
2.Department of Mathematics,Southern University of Science and Technology,Shenzhen,Guangdong,518055,China

Zhang，Jiandong,Yan，Rongfang,Zhang，Yiying. Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios[J]. Journal of Computational and Applied Mathematics,2023,431.

Zhang，Jiandong,Yan，Rongfang,&Zhang，Yiying.(2023).Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios.Journal of Computational and Applied Mathematics,431.

Zhang，Jiandong,et al."Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios".Journal of Computational and Applied Mathematics 431(2023).